For whatever reason these Ferrari GT peripherals seem to have a lot of problems and they aren't very consistent when it comes to choosing to work properly or not on the PS3. It's too bad to, because they are dang slick!
I can promise this will work, but here is what you should be doing to maximize your chances of the wheel working. First, make sure you have the latest patch for the PS3. You can do this by either going to "settings," "system settings," and then turning automatic updates on. If you do that, the newest patch will be automatically downloaded and applied the next time you connect to PS Network. Alternatively, if you have a USB flash drive you can go
here and follow the on screen instructions to apply the path to your PS3. This is critical as not all patches support the wheel and pedals.
After that's done be sure the switch on the side of the wheel is set to "PS3." Turn your console off using the switch on the back, wait a minute, then plug the wheel and pedals into the PS3 and turn the console on.
That's the most you can do. If it still doesn't work the next step would be to contact the manufacturer or store for a refund.
Let me know how it goes. If you need further support feel free to post a comment in this thread and I'll get back to you.